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Keywords = RCEP stock markets

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17 pages, 821 KiB  
Article
Measuring the Risk Spillover Effect of RCEP Stock Markets: Evidence from the TVP-VAR Model and Transfer Entropy
by Yijiang Zou, Qinghua Chen, Jihui Han and Mingzhong Xiao
Entropy 2025, 27(1), 81; https://doi.org/10.3390/e27010081 - 17 Jan 2025
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Abstract
This paper selects daily stock market trading data of RCEP member countries from 3 December 2007 to 9 December 2024 and employs the Time-Varying Parameter Vector Autoregression (TVP-VAR) model and transfer entropy to measure the time-varying volatility spillover effects among the stock markets [...] Read more.
This paper selects daily stock market trading data of RCEP member countries from 3 December 2007 to 9 December 2024 and employs the Time-Varying Parameter Vector Autoregression (TVP-VAR) model and transfer entropy to measure the time-varying volatility spillover effects among the stock markets of the sampled countries. The results indicate that the signing of the RCEP has strengthened the interconnectedness of member countries’ stock markets, with an overall upward trend in volatility spillover effects, which become even more pronounced during periods of financial turbulence. Within the structure of RCEP member stock markets, China is identified as a net risk receiver, while countries like Japan and South Korea act as net risk spillover contributors. This highlights the current “fragility” of China’s stock market, making it susceptible to risk shocks from the stock markets of economically developed RCEP member countries. This analysis suggests that significant changes in bidirectional risk spillover relationships between China’s stock market and those of other RCEP members coincided with the signing and implementation of the RCEP agreement. Full article
(This article belongs to the Special Issue Risk Spillover and Transfer Entropy in Complex Financial Networks)
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